GITNUX MARKETDATA REPORT 2024

Volatility Statistics

Volatility statistics measure the degree of variability or dispersion of a dataset or a security's price movements over a certain period of time.

With sources from: mckinsey.com, personal.vanguard.com, lplresearch.com, ishares.com and many more

Statistic 1

The realized volatility of the S&P 500 (United States) over the first four months of 2020 ranged between 31% to 87%, which is higher than experienced during the great Financial Crisis in 2008.

Statistic 2

In 2008, during the financial crisis, the CBOE Volatility Index (VIX) reached an all-time high of above 80.

Statistic 3

In March 2020, the VIX increased 528% in a month due to the coronavirus impact, the highest jump in the index’s history.

Statistic 4

As of February 2021, the Bitcoin Volatility Index was at 4.34% which is significantly higher than the volatility of other assets such as gold and stocks.

Statistic 5

Commodities generally have higher volatility, with crude oil having a long-term volatility of 30.5%

Statistic 6

The stock markets have had an average realized volatility of 13.6% for the past 10 years.

Statistic 7

The median annual volatility of the S&P 500 from 1950-2019 has been about 13.8%.

Statistic 8

As of March 2021, the highest returns from investing in the highest volatility stocks was 24.9%.

Statistic 9

Historically, Small Caps have usually provided higher volatility than Large Caps - CRSP Deciles 6–10 (small caps) had an annualized standard deviation of 20.2%, while CRSP 1–2 (large caps) had a standard deviation of 15.4%.

Statistic 10

Apple’s stock has a beta, a measure of volatility in comparison to the market as a whole, of 1.20 reflecting more volatility than the market.

Statistic 11

The average individual stock has a standard deviation of 40.3%, which shows individual stocks have a high level of volatility.

Statistic 12

India's NIFTY 50 index has an implied volatility of about 20.5%, which was a drop of 23% compared to the start of the 2020 COVID-19 pandemic.

Statistic 13

During the COVID-19 crisis in 2020, the realized volatility of U.S. Treasury markets reached highs of over 20%, levels not seen since the global financial crisis.

Statistic 14

For the period April 2015-March 2021, NASDAQ has shown more volatility than other US indexes with an average realized volatility of 18.50%.

Statistic 15

Volatility of credit spreads, as measured by the S&P/ISDA CDS U.S. High Yield Spread, reached a peak of 152.5 points in March 2020 during the global pandemic, significantly higher than average levels.

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In this post, we explore a comprehensive overview of volatility in various financial markets and assets. From the unprecedented swings in the S&P 500 during the global pandemic to the historical highs in the CBOE Volatility Index, we delve into the intricacies of volatility measures across different sectors. Join us as we analyze the statistical insights into market fluctuations and the impact of volatility on investment strategies.

Statistic 1

"The realized volatility of the S&P 500 (United States) over the first four months of 2020 ranged between 31% to 87%, which is higher than experienced during the great Financial Crisis in 2008."

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Statistic 2

"In 2008, during the financial crisis, the CBOE Volatility Index (VIX) reached an all-time high of above 80."

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Statistic 3

"In March 2020, the VIX increased 528% in a month due to the coronavirus impact, the highest jump in the index’s history."

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Statistic 4

"As of February 2021, the Bitcoin Volatility Index was at 4.34% which is significantly higher than the volatility of other assets such as gold and stocks."

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Statistic 5

"Commodities generally have higher volatility, with crude oil having a long-term volatility of 30.5%"

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Statistic 6

"The stock markets have had an average realized volatility of 13.6% for the past 10 years."

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Statistic 7

"The median annual volatility of the S&P 500 from 1950-2019 has been about 13.8%."

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Statistic 8

"As of March 2021, the highest returns from investing in the highest volatility stocks was 24.9%."

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Statistic 9

"Historically, Small Caps have usually provided higher volatility than Large Caps - CRSP Deciles 6–10 (small caps) had an annualized standard deviation of 20.2%, while CRSP 1–2 (large caps) had a standard deviation of 15.4%."

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Statistic 10

"Apple’s stock has a beta, a measure of volatility in comparison to the market as a whole, of 1.20 reflecting more volatility than the market."

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Statistic 11

"The average individual stock has a standard deviation of 40.3%, which shows individual stocks have a high level of volatility."

Sources Icon

Statistic 12

"India's NIFTY 50 index has an implied volatility of about 20.5%, which was a drop of 23% compared to the start of the 2020 COVID-19 pandemic."

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Statistic 13

"During the COVID-19 crisis in 2020, the realized volatility of U.S. Treasury markets reached highs of over 20%, levels not seen since the global financial crisis."

Sources Icon

Statistic 14

"For the period April 2015-March 2021, NASDAQ has shown more volatility than other US indexes with an average realized volatility of 18.50%."

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Statistic 15

"Volatility of credit spreads, as measured by the S&P/ISDA CDS U.S. High Yield Spread, reached a peak of 152.5 points in March 2020 during the global pandemic, significantly higher than average levels."

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Interpretation

Overall, the statistics presented highlight the extreme fluctuations in volatility experienced across various markets and assets, particularly exacerbated by major global events such as the COVID-19 pandemic. The data shows that volatility can vary significantly across different time periods and asset classes, with certain sectors and individual stocks demonstrating notably higher levels of volatility than others. Understanding and effectively managing volatility is crucial for investors looking to navigate volatile markets and make informed investment decisions.

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